Time Weighted Volume Scanner


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Hey Pete! I am running a scan and one of the parameters is for stocks that have twice or greater the amount of volume today than average. The problem is that let’s say the scan is run 10 minutes after open, basically no stocks will get returned because the volume within the first 10 minutes is very unlikely to be twice that value of the entire day’s historical average.

My solution with this is to make a “time-weighted” volume average and then do the scan like that. Do you have any idea on how this can be done? I tried my very best to do this before bugging you about it but I have ask the real brain now. 😉

Example:

Stock ABC has an average volume of 5 million per day. The market just opened 5 minutes ago and it already has 1.5 million volume. Clearly the stock’s volume today is greater than twice the historical average but the screener won’t pick up on this (until we come up with a solution).

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Posted by (Questions: 1, Answers: 0)
Asked on December 11, 2023 11:32 am
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I understand the task you are trying to accomplish here and I can assure you the solution is light-years from anything I can provide free of charge in the Q&A Forum. The scripting language of Thinkorswim makes this a very difficult solution to write. Nearly impossible. And even then, the result is a very restrictive solution which has to be custom built to work on a single time frame. Very inflexible.

I know this because I had a client pay me to build something along these lines.

For those interested in the technical explanation for why this is so difficult to build on Thinkorswim, I will provide few key points of deficiency:

  1. There is no such thing as a custom sized array in Thinkorswim. Which is the first tool any developer would reach for when trying to build something like this.
  2. The looping structure in Thinkorswim is limited to working with only one variable.
  3. There is no way to loop through an array and manipulate multiple variables within the same looping structure.

This sort of solution is very simple to do in other trading platforms with a more robust scripting or programming language.

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Posted by (Questions: 37, Answers: 4084)
Answered on December 11, 2023 1:44 pm